The effect of overnight corporate announcements on price discovery

被引：2
|
作者：
Liu, Chunyuan [1 ]
Han, Liyan [1 ,2 ]
Chu, Gang [3 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100083, Peoples R China
[2] Yanqi Lake Beijing Inst Math Sci & Applicat, Beijing 101408, Peoples R China
[3] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 53卷
关键词：
Overnight announcements; Attention; -grabbing; Price discovery; Investor distraction; FREQUENCY; ATTENTION; UNDERREACTION; INFORMATION; IMPACT;
D O I：
10.1016/j.frl.2023.103665
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study utilized high-frequency trading data and overnight announcement data to test the effect of overnight announcements on price discovery. The results support the hypothesis that overnight announcements, as attention-grabbing events, can facilitate price discovery. However, investor attention would be distracted by overnight announcements from other companies. We provide evidence to show that investor distraction dilutes the enhancing effect of overnight an-nouncements on price discovery. Our results emphasize the critical role of investor attention in price discovery.
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页数：5
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